AFAIK, only in Visual Basic is it referred to as the "immediate window". In all the other envs its called "Command window".

I guess this goes back to the days when VC and VB were different IDEs so they had their own terminology (Workspaces vs. Project Groups, Command Window vs. Immediate Window, etc)

Actually... I'm not sure that is completely true, at least not any more.

I have available and can issue commands in both the command and immediate windows in both VB and C# (2.0). One difference between the two that the Command Window will accept commands at any time (Visual Studio Commands) whereas the Immediate Window (Evaluations)
only accepts commands during a debugging session. Now, you can enter "command" type command in an immediate window and you can enter "immediate" commands in a command window however there is a difference between the two. Fortunately for us they are so tightly
knit we don't have to worry about it much.

The Command and Immediate windows are language agnostic in 2005, at least their functionality and documentation seem to make it appear that way. Without firing up a 2003 VM I can't testify as to how they act in 1.1.

That was the first place I looked.
It is there under VS2002/2003, but not for VS2005.

If you load a project and you still can't fine the Windows menu under Debug then you'll probably want to reset your settings.

Tools, Import & Export Settings... Choose Reset and save your current settings if you want. Then choose the environment you want to load, C#, VB, General etc. See if that helps. Like Sven's pic shows it should be the top most menu under Debug with a project
loaded. The items under the Windows menu can vary depending on what settings you have loaded but the menu is always there. At least I can't make it disappear myself.